FRM Market Risk Senior Consultant

About the role

As a member of the Quantitative Valuation and Market Risk team, you will work alongside capital market specialists to deliver high‑quality valuation and risk analysis services for banking and financial services clients. You will lead projects, prepare reports for stakeholders and regulators, and help develop the firm’s talent pool.

Key responsibilities

• Work closely with managers and senior managers to deliver high‑quality valuation and market risk analysis services to banking and financial services clients.
• Review and assess market risk methodologies and processes, supporting IRRBB and FRTB implementation projects.
• Contribute to liquidity risk and counter‑party credit risk framework design and implementation.
• Participate in derivatives valuation projects using analytical and numerical methods.
• Prepare briefs, analytical notes and sections of analytical reports for client engagements.

Required profile

• Honours degree in Quantitative Finance; a master’s degree in Financial Engineering or Quantitative Finance is preferred.
• Professional certification such as FRM or PRM.
• At least three years of experience in a top South African bank or leading professional services firm.
• Strong quantitative and business writing abilities with attention to detail.

Required skills

• Advanced Excel/VBA development.
• Programming in Python.
• Programming in R.
• Programming in C++.